Capital Market Integration and Industrial Structure: The Case of Australia, Canada and The United States

60 Pages Posted: 17 Nov 2000  

Usha R. Mittoo

University of Manitoba - Department of Accounting and Finance

Robert W. Faff

University of Queensland

Date Written: undated

Abstract

Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries. The tests are conducted in the Capital Asset Pricing Model and multi-factor pricing frameworks over the 1983-1992 period. Our evidence supports two main findings. First, global industry stocks such as oil and mining stocks are priced in a relatively integrated capital market while regional industry stocks such as consumer and capital goods stocks are priced in segmented markets. Second, Australian stocks are priced in different markets than their Canadian and US counterparts. Evidence suggests that the pricing of Canadian stocks occurs in a regionally integrated North American stock market rather than in a global market. This evidence supports the notion that economic and trade linkages are a dominant factor in international asset pricing.

Keywords: Integration, segmentation, industrial structure, multi-country study

JEL Classification: G12, G15

Suggested Citation

Mittoo, Usha R. and Faff, Robert W., Capital Market Integration and Industrial Structure: The Case of Australia, Canada and The United States (undated). EFMA 2000 Athens. Available at SSRN: https://ssrn.com/abstract=250175 or http://dx.doi.org/10.2139/ssrn.250175

Usha R. Mittoo

University of Manitoba - Department of Accounting and Finance ( email )

Faculty of Management
Winnipeg, MB R3T 5V4
Canada

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

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